Provided by: libnlopt-dev_2.6.1-8ubuntu2_amd64

**NAME**

nlopt_minimize - Minimize a multivariate nonlinear function

**SYNOPSIS**

#include<nlopt.h>nlopt_resultnlopt_minimize(nlopt_algorithmalgorithm,intn,nlopt_funcf,void*f_data,constdouble*lb,constdouble*ub,double*x,double*minf,doubleminf_max,doubleftol_rel,doubleftol_abs,doublextol_rel,constdouble*xtol_abs,intmaxeval,doublemaxtime);You should link the resulting program with the linker flags -lnlopt -lm on Unix.

**DESCRIPTION**

nlopt_minimize() attempts to minimize a nonlinear functionfofndesign variables using the specifiedalgorithm. The minimum function value found is returned inminf, with the corresponding design variable values returned in the arrayxof lengthn. The input values inxshould be a starting guess for the optimum. The inputslbandubare arrays of lengthncontaining lower and upper bounds, respectively, on the design variablesx. The other parameters specify stopping criteria (tolerances, the maximum number of function evaluations, etcetera) and other information as described in more detail below. The return value is a integer code indicating success (positive) or failure (negative), as described below. By changing the parameteralgorithmamong several predefined constants described below, one can switch easily between a variety of minimization algorithms. Some of these algorithms require the gradient (derivatives) of the function to be supplied viaf, and other algorithms do not require derivatives. Some of the algorithms attempt to find a global minimum within the given bounds, and others find only a local minimum. Thenlopt_minimizefunction is a wrapper around several free/open-source minimization packages. as well as some new implementations of published optimization algorithms. You could, of course, compile and call these packages separately, and in some cases this will provide greater flexibility than is available via thenlopt_minimizeinterface. However, depending upon the specific function being minimized, the different algorithms will vary in effectiveness. The intent ofnlopt_minimizeis to allow you to quickly switch between algorithms in order to experiment with them for your problem, by providing a simple unified interface to these subroutines.

**OBJECTIVE** **FUNCTION**

nlopt_minimize() minimizes an objective functionfof the form:doublef(intn,constdouble*x,double*grad,void*f_data);The return value should be the value of the function at the pointx, wherexpoints to an array of lengthnof the design variables. The dimensionnis identical to the one passed tonlopt_minimize(). In addition, if the argumentgradis not NULL, thengradpoints to an array of lengthnwhich should (upon return) be set to the gradient of the function with respect to the design variables atx. That is,grad[i]should upon return contain the partial derivative df/dx[i], for 0 <= i < n, ifgradis non-NULL. Not all of the optimization algorithms (below) use the gradient information: for algorithms listed as "derivative-free," thegradargument will always be NULL and need never be computed. (For algorithms that do use gradient information, however,gradmay still be NULL for some calls.) Thef_dataargument is the same as the one passed tonlopt_minimize(), and may be used to pass any additional data through to the function. (That is, it may be a pointer to some caller-defined data structure/type containing information your function needs, which you convert from void* by a typecast.)

**CONSTRAINTS**

Most of the algorithms in NLopt are designed for minimization of functions with simple bound constraints on the inputs. That is, the input vectors x[i] are constrainted to lie in a hyperrectangle lb[i] <= x[i] <= ub[i] for 0 <= i < n, wherelbandubare the two arrays passed tonlopt_minimize(). However, a few of the algorithms support partially or totally unconstrained optimization, as noted below, where a (totally or partially) unconstrained design variable is indicated by a lower bound equal to -Inf and/or an upper bound equal to +Inf. Here, Inf is the IEEE-754 floating-point infinity, which (in ANSI C99) is represented by the macro INFINITY in math.h. Alternatively, for older C versions you may also use the macro HUGE_VAL (also in math.h). With some of the algorithms, especially those that do not require derivative information, a simple (but not especially efficient) way to implement arbitrary nonlinear constraints is to return Inf (see above) whenever the constraints are violated by a given inputx. More generally, there are various ways to implement constraints by adding "penalty terms" to your objective function, which are described in the optimization literature. A much more efficient way to specify nonlinear constraints is provided by thenlopt_minimize_constrained() function (described in its own manual page).

**ALGORITHMS**

Thealgorithmparameter specifies the optimization algorithm (for more detail on these, see the README files in the source-code subdirectories), and can take on any of the following constant values. Constants with_G{N,D}_in their names refer to global optimization methods, whereas_L{N,D}_refers to local optimization methods (that try to find a local minimum starting from the starting guessx). Constants with_{G,L}N_refer to non-gradient (derivative-free) algorithms that do not require the objective function to supply a gradient, whereas_{G,L}D_refers to derivative-based algorithms that require the objective function to supply a gradient. (Especially for local optimization, derivative- based algorithms are generally superior to derivative-free ones: the gradient is good to haveifyou can compute it cheaply, e.g. via an adjoint method.)NLOPT_GN_DIRECT_LPerform a global (G) derivative-free (N) optimization using the DIRECT-L search algorithm by Jones et al. as modified by Gablonsky et al. to be more weighted towards local search. Does not support unconstrainted optimization. There are also several other variants of the DIRECT algorithm that are supported:NLOPT_GN_DIRECT, which is the original DIRECT algorithm;NLOPT_GN_DIRECT_L_RAND, a slightly randomized version of DIRECT-L that may be better in high-dimensional search spaces;NLOPT_GN_DIRECT_NOSCAL,NLOPT_GN_DIRECT_L_NOSCAL, andNLOPT_GN_DIRECT_L_RAND_NOSCAL, which are versions of DIRECT where the dimensions are not rescaled to a unit hypercube (which means that dimensions with larger bounds are given more weight).NLOPT_GN_ORIG_DIRECT_LA global (G) derivative-free optimization using the DIRECT-L algorithm as above, along withNLOPT_GN_ORIG_DIRECTwhich is the original DIRECT algorithm. UnlikeNLOPT_GN_DIRECT_Labove, these two algorithms refer to code based on the original Fortran code of Gablonsky et al., which has some hard-coded limitations on the number of subdivisions etc. and does not support all of the NLopt stopping criteria, but on the other hand supports arbitrary nonlinear constraints as described above.NLOPT_GD_STOGOGlobal (G) optimization using the StoGO algorithm by Madsen et al. StoGO exploits gradient information (D) (which must be supplied by the objective) for its local searches, and performs the global search by a branch-and-bound technique. Only bound-constrained optimization is supported. There is also another variant of this algorithm,NLOPT_GD_STOGO_RAND, which is a randomized version of the StoGO search scheme. The StoGO algorithms are only available if NLopt is compiled with C++ enabled, and should be linked via -lnlopt_cxx (via a C++ compiler, in order to link the C++ standard libraries).NLOPT_LN_NELDERMEADPerform a local (L) derivative-free (N) optimization, starting atx, using the Nelder-Mead simplex algorithm, modified to support bound constraints. Nelder-Mead, while popular, is known to occasionally fail to converge for some objective functions, so it should be used with caution. Anecdotal evidence, on the other hand, suggests that it works fairly well for discontinuous objectives. See alsoNLOPT_LN_SBPLXbelow.NLOPT_LN_SBPLXPerform a local (L) derivative-free (N) optimization, starting atx, using an algorithm based on the Subplex algorithm of Rowan et al., which is an improved variant of Nelder-Mead (above). Our implementation does not use Rowan's original code, and has some minor modifications such as explicit support for bound constraints. (Like Nelder-Mead, Subplex often works well in practice, even for discontinuous objectives, but there is no rigorous guarantee that it will converge.) Nonlinear constraints can be crudely supported by returning +Inf when the constraints are violated, as explained above.NLOPT_LN_PRAXISLocal (L) derivative-free (N) optimization using the principal-axis method, based on code by Richard Brent. Designed for unconstrained optimization, although bound constraints are supported too (via the inefficient method of returning +Inf when the constraints are violated).NLOPT_LD_LBFGSLocal (L) gradient-based (D) optimization using the limited-memory BFGS (L-BFGS) algorithm. (The objective function must supply the gradient.) Unconstrained optimization is supported in addition to simple bound constraints (see above). Based on an implementation by Luksan et al.NLOPT_LD_VAR2Local (L) gradient-based (D) optimization using a shifted limited-memory variable- metric method based on code by Luksan et al., supporting both unconstrained and bound-constrained optimization.NLOPT_LD_VAR2uses a rank-2 method, while.BNLOPT_LD_VAR1is another variant using a rank-1 method.NLOPT_LD_TNEWTON_PRECOND_RESTARTLocal (L) gradient-based (D) optimization using an LBFGS-preconditioned truncated Newton method with steepest-descent restarting, based on code by Luksan et al., supporting both unconstrained and bound-constrained optimization. There are several other variants of this algorithm:NLOPT_LD_TNEWTON_PRECOND(same without restarting),NLOPT_LD_TNEWTON_RESTART(same without preconditioning), andNLOPT_LD_TNEWTON(same without restarting or preconditioning).NLOPT_GN_CRS2_LMGlobal (G) derivative-free (N) optimization using the controlled random search (CRS2) algorithm of Price, with the "local mutation" (LM) modification suggested by Kaelo and Ali.NLOPT_GD_MLSL_LDS,NLOPT_GN_MLSL_LDSGlobal (G) derivative-based (D) or derivative-free (N) optimization using the multi-level single-linkage (MLSL) algorithm with a low-discrepancy sequence (LDS). This algorithm executes a quasi-random (LDS) sequence of local searches, with a clustering heuristic to avoid multiple local searches for the same local minimum. The local search uses the derivative/nonderivative algorithm set bynlopt_set_local_search_algorithm(currently defaulting toNLOPT_LD_MMAandNLOPT_LN_COBYLAfor derivative/nonderivative searches, respectively). There are also two other variants,NLOPT_GD_MLSLandNLOPT_GN_MLSL, which use pseudo-random numbers (instead of an LDS) as in the original MLSL algorithm.NLOPT_LD_MMALocal (L) gradient-based (D) optimization using the method of moving asymptotes (MMA), or rather a refined version of the algorithm as published by Svanberg (2002). (NLopt uses an independent free-software/open-source implementation of Svanberg's algorithm.) TheNLOPT_LD_MMAalgorithm supports both bound-constrained and unconstrained optimization, and also supports an arbitrary number (m) of nonlinear constraints via thenlopt_minimize_constrained() function.NLOPT_LN_COBYLALocal (L) derivative-free (N) optimization using the COBYLA algorithm of Powell (Constrained Optimization BY Linear Approximations). TheNLOPT_LN_COBYLAalgorithm supports both bound-constrained and unconstrained optimization, and also supports an arbitrary number (m) of nonlinear constraints via thenlopt_minimize_constrained() function.NLOPT_LN_NEWUOA_BOUNDLocal (L) derivative-free (N) optimization using a variant of the the NEWUOA algorithm of Powell, based on successive quadratic approximations of the objective function. We have modified the algorithm to support bound constraints. The original NEWUOA algorithm is also available, asNLOPT_LN_NEWUOA, but this algorithm ignores the bound constraintslbandub, and so it should only be used for unconstrained problems.

**STOPPING** **CRITERIA**

Multiple stopping criteria for the optimization are supported, as specified by the following arguments tonlopt_minimize(). The optimization halts whenever any one of these criteria is satisfied. In some cases, the precise interpretation of the stopping criterion depends on the optimization algorithm above (although we have tried to make them as consistent as reasonably possible), and some algorithms do not support all of the stopping criteria.minf_maxStop when a function value less than or equal tominf_maxis found. Set to -Inf or NaN (see constraints section above) to disable.ftol_relRelative tolerance on function value: stop when an optimization step (or an estimate of the minimum) changes the function value by less thanftol_relmultiplied by the absolute value of the function value. (If there is any chance that your minimum function value is close to zero, you might want to set an absolute tolerance withftol_absas well.) Disabled if non-positive.ftol_absAbsolute tolerance on function value: stop when an optimization step (or an estimate of the minimum) changes the function value by less thanftol_abs. Disabled if non-positive.xtol_relRelative tolerance on design variables: stop when an optimization step (or an estimate of the minimum) changes every design variable by less thanxtol_relmultiplied by the absolute value of the design variable. (If there is any chance that an optimal design variable is close to zero, you might want to set an absolute tolerance withxtol_absas well.) Disabled if non-positive.xtol_absPointer to an array of lengthngivingabsolutetolerancesondesignvariables:stopwhenanoptimization step (or an estimate of the minimum) changes every design variablex[i] by less thanxtol_abs[i]. Disabled if non-positive, or ifxtol_absis NULL.maxevalStop when the number of function evaluations exceedsmaxeval. (This is not a strict maximum: the number of function evaluations may exceedmaxevalslightly, depending upon the algorithm.) Disabled if non-positive.maxtimeStop when the optimization time (in seconds) exceedsmaxtime. (This is not a strict maximum: the time may exceedmaxtimeslightly, depending upon the algorithm and on how slow your function evaluation is.) Disabled if non-positive.

**RETURN** **VALUE**

The value returned is one of the following enumerated constants.Successfultermination(positivereturnvalues):NLOPT_SUCCESSGeneric success return value.NLOPT_MINF_MAX_REACHEDOptimization stopped becauseminf_max(above) was reached.NLOPT_FTOL_REACHEDOptimization stopped becauseftol_relorftol_abs(above) was reached.NLOPT_XTOL_REACHEDOptimization stopped becausextol_relorxtol_abs(above) was reached.NLOPT_MAXEVAL_REACHEDOptimization stopped becausemaxeval(above) was reached.NLOPT_MAXTIME_REACHEDOptimization stopped becausemaxtime(above) was reached.Errorcodes(negativereturnvalues):NLOPT_FAILUREGeneric failure code.NLOPT_INVALID_ARGSInvalid arguments (e.g. lower bounds are bigger than upper bounds, an unknown algorithm was specified, etcetera).NLOPT_OUT_OF_MEMORYRan out of memory.

**PSEUDORANDOM** **NUMBERS**

For stochastic optimization algorithms, we use pseudorandom numbers generated by the Mersenne Twister algorithm, based on code from Makoto Matsumoto. By default, the seed for the random numbers is generated from the system time, so that they will be different each time you run the program. If you want to use deterministic random numbers, you can set the seed by calling:voidnlopt_srand(unsignedlongseed);Some of the algorithms also support using low-discrepancy sequences (LDS), sometimes known as quasi-random numbers. NLopt uses the Sobol LDS, which is implemented for up to 1111 dimensions.maxeval.

**AUTHORS**

Written by Steven G. Johnson. Copyright (c) 2007 Massachusetts Institute of Technology.

**SEE** **ALSO**

nlopt_minimize_constrained(3)